Market Liquidity and Strategic Asset Allocation: Applications to GCC Stock Exchanges-Reference-Cited by-同舟云学术

Market Liquidity and Strategic Asset Allocation: Applications to GCC Stock Exchanges

Published:2009-01 Issue:2 Volume:1 Page:227-254
ISSN:1793-8120
Container-title:Middle East Development Journal
language:en
Short-container-title:Middle East Development Journal

Author:

Al Janabi Mazin A. M.¹

Affiliation:

1. Department of Economics and Finance, College of Business and Economics United Arab Emirates University P. O. Box 17555, Al-Ain, United Arab Emirates

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Sociology and Political Science,Development

Link

https://www.tandfonline.com/doi/pdf/10.1142/S1793812009000115

Reference7 articles.

1. Al Janabi, M. A. M. 2005. “Trading risk management: Practical applications to emerging-markets.” in Risk Management in Emerging Markets, ed. S. Motamen-Samadian, UK: Palgrave/MacMillan, pp. 91–136.

2. Almgren, R. and N. Chriss. 1999. “Optimal execution of portfolio transaction,” Working Paper, Department of Mathematics, The University of Chicago.

3. Bangia, A., F. Diebold, T. Schuermann and J. Stroughair. 1999. “Modeling liquidity risk with implications for traditional market risk measurement and management.” Working Paper, The Wharton School, University of Pennsylvania.

4. Berkowitz, J. 2000. “Incorporating liquidity risk into VaR models.” Working Paper, Graduate School of Management, University of California, Irvine.

5. Le Saout, E. 2002. “Incorporating liquidity risk in VaR models.” Working Paper, Paris 1 University.

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